Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0435
Annualized Std Dev 0.1994
Annualized Sharpe (Rf=0%) 0.2183

Row

Daily Return Statistics

Close
Observations 4207.0000
NAs 1.0000
Minimum -0.1049
Quartile 1 -0.0044
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0056
Maximum 0.1163
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0126
Skewness -0.3690
Kurtosis 12.7601

Downside Risk

Close
Semi Deviation 0.0092
Gain Deviation 0.0091
Loss Deviation 0.0105
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.6088
Historical VaR (95%) -0.0184
Historical ES (95%) -0.0313
Modified VaR (95%) -0.0185
Modified ES (95%) -0.0298
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-05 2016-11-15 -0.6088 2382 442 1940
2020-01-03 2020-03-23 2021-02-23 -0.3553 287 55 232
2018-01-29 2018-12-24 2019-10-29 -0.1892 442 229 213
2005-03-07 2005-05-13 2005-09-07 -0.0724 129 49 80
2005-09-19 2005-10-20 2005-11-22 -0.0706 47 24 23

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA -0.4 0.2 1.4 0 1 -0.1 2.1
2005 1.2 0.1 -0.4 1.2 0.5 0.6 0 0.8 -0.4 -0.1 1.1 -0.4 4.2
2006 -0.1 0.8 -0.3 -0.5 1.3 -0.1 0 0.5 -0.2 -0.4 -0.1 -0.6 0.4
2007 0.8 -0.2 -0.4 0.3 0.3 -0.9 0.7 0.7 1.5 -3.8 1.8 -0.5 0.1
2008 1.5 -2.9 4.5 1.8 -0.5 0.1 0.2 -0.7 1.3 3.2 -9.9 1.4 -0.8
2009 -1.6 -3.5 2.4 0.9 1.5 0.3 0.5 -2.6 -2.4 -3 1.1 -0.8 -7.2
2010 1.3 0.6 0.8 -1.4 -1.9 -0.7 0.1 2.6 0.6 -0.3 2.1 0 3.7
2011 2.1 -1.2 -0.1 0.3 -1.9 1.4 -0.2 -0.9 -1.9 -3 -0.3 -0.5 -6.1
2012 1 0.5 0.5 1 -1.9 1.6 0.1 0.7 0.3 0.6 0.2 1.8 6.7
2013 0.9 0.1 -0.2 -1 -1.7 0.4 0.9 -0.5 0.6 0.3 0.2 0.3 0.3
2014 -0.8 0.1 0.3 -0.2 0.1 0.8 -0.4 0.3 -1.3 1.4 0 -0.5 -0.3
2015 -1.5 0 -0.4 0.7 0 0.5 -0.5 -3.3 -0.5 -0.3 1 -0.8 -5.1
2016 -0.3 2 0.4 -0.7 0.1 0.3 -0.7 -0.1 0.8 -0.7 0.2 -0.3 1
2017 -0.2 1.6 -0.1 0.2 0.8 0.4 0.1 0.4 0.2 0.3 0 -0.3 3.4
2018 0 -1.2 1.1 -0.5 0.7 0.5 -0.5 -0.2 0.2 0.4 0.9 0.7 2.1
2019 0.3 0.2 1.1 -0.8 -1.5 0.6 -1.3 0.3 -1.5 1.2 -0.3 0.3 -1.3
2020 -1.7 -1.9 -3.9 -3.4 -0.1 -0.5 -0.6 -0.1 0 -0.4 1.2 0.9 -10.3
2021 0.3 1.9 -0.4 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-07-02  60.0 SPY    113. -0.0005   -0.0084  -0.0022  -0.0079    0.131  -0.0713   -0.153 <NA>     NA    NA       NA
2 2004-07-06  59.7 SPY    112. -0.0088   -0.0138  -0.0018  -0.024     0.133  -0.0789   -0.168 <NA>     NA    NA       NA
3 2004-07-07  59.8 SPY    112.  0.00290  -0.0149  -0.0067  -0.0265    0.114  -0.0813   -0.181 <NA>     NA    NA       NA
4 2004-07-08  59.7 SPY    111. -0.0071   -0.0272  -0.0286  -0.0303    0.102  -0.0912   -0.193 <NA>     NA    NA       NA
5 2004-07-09  59.6 SPY    112.  0.0028   -0.0107  -0.0273  -0.0253    0.111  -0.0999   -0.198 <NA>     NA    NA       NA
6 2004-07-12  59.5 SPY    112.  0.0004   -0.0097  -0.0177  -0.0226    0.126  -0.0993   -0.198 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart